Cox-Ingersoll-Ross process stationary law

Share:

Description

Density, distribution function, quantile function, and random generation of the stationary law for the Cox-Ingersoll-Ross process.

Usage

1
2
3
4
dsCIR(x, theta, log = FALSE)
psCIR(x, theta, lower.tail = TRUE, log.p = FALSE) 
qsCIR(p, theta, lower.tail = TRUE, log.p = FALSE)
rsCIR(n=1, theta)

Arguments

x

vector of quantiles.

p

vector of probabilities.

theta

parameter of the Cox-Ingersoll-Ross process; see details.

n

number of random numbers to generate from the conditional distribution.

log, log.p

logical; if TRUE, probabilities p are given as log(p).

lower.tail

logical; if TRUE (default), probabilities are P[X <= x]; otherwise P[X > x].

Details

This function returns quantities related to the stationary law of the process solution of

dX_t = (theta[1] - theta[2]*Xt)*dt + theta[3]*sqrt(X_t)*dWt.

Constraints: 2*theta[1] > theta[3]^2, all theta positive.

Value

x

a numeric vector

Author(s)

Stefano Maria Iacus

References

Cox, J.C., Ingersoll, J.E., Ross, S.A. (1985) A theory of the term structure of interest rates, Econometrica, 53, 385-408.

See Also

rsCIR

Examples

1
rsCIR(n=1, theta=c(6,2,1))

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.